City can put one hand on the Barclays Premier League trophy with victory over Aston Villa at the Etihad Stadium on Wednesday.
A positive result would lift the 2012 champions two points clear of current leaders Liverpool heading into Sunday's final game of the season against West Ham.
Pellegrini said: "We have experienced players, they've been in a similar situation two years ago.
"We have the pressure to win, but we've had it the whole year.
"From the beginning of the season I always said that this team wants to win the title. Now we will try to do it."
City became overwhelming favourites for the title as Liverpool squandered a chance to apply considerable pressure at the top on Monday.
The Reds missed the opportunity to move three points ahead as they surrendered a 3-0 lead in the final 11 minutes to draw 3-3 at Crystal Palace.
It was a pivotal moment in the race for the crown and Liverpool boss Brendan Rodgers said his side's challenge was effectively over.
But Pellegrini claims he did not even watch the match because he was so focused on his preparations for the visit of Villa.
He said: "The Aston Villa game doesn't depend on the result of Liverpool.
"I was watching a tape and working. I knew the result once the game was finished. Other people told me at the end.
"The only way to continue in our position is to win the three points tomorrow.
"All the other things we can analyse when the race is over."
Pellegrini, speaking at a press conference to preview the game, was largely reluctant to discuss the title picture, such was his concentration on the game.
"I don't want to talk more about the title race," he said. "It's not the moment. We just think about the next game which is Villa."
City are just four goals short of 100 for the league campaign but Pellegrini is not looking at that statistic either.
He said: "We are not thinking the goalscoring record. We are just thinking about winning these games.
"After you win you can maybe think about the record of goals.
"But it's important to continue with our style of football that we've played since the beginning of the season. We want to finish in the same way."